While it will be no surprise to any ZeroHedge reader, academic research from ETH Zurich shows that not only are "commodity markets becoming very financialized and computerized... and more susceptible to minor shocks," but "at least 60-70% of price changes are now due to self-generated activities rather than novel information." In other words, only about a third of commodity price moves are caused by real fundamental news now (as opposed to 75% pre-HFT).

“Fast and stupid is still stupid. It just gets you to stupid a lot quicker than humans could on their own. Which, I admit, is an accomplishment," she added, "because we're pretty damn good at stupid.”
Jack Campbell, Invincible

Where market unreality and HFT leads to higher trades, the Alberta Securities Commission finds that an oil worker manipulated markets in one particular company by buying into the close, resulting in a higher stock price over many weeks:

Since the 'no down-tick' rule was abolished in Canada in 2011, this allows sell-side brokers to sell into the bid without first owning any shares, as long as the position is hedged into treasuries. The beneficiary of this move was probably 10-year CGB since that time:

Today the Canadian government released its budget, allowing junior mining firms a tax break if they dilute their shares, resulting in a lower share price, but removing tax incentives for development capex on mining firms intent on developing new mines. This is supposed to be a 'jobs' budget.

Humans are still the liquidity providers, HFTs just scalp and flip from bid/offer offer/bid usually on 2point spreads. The exchanges are now crowded with HFTs. If the market panics on something, anything...The market goes short, the HFTs 'scratch' cut trades to avoid losses. Since they are algorithmic (automatic) every-time they re-enter a trade in a falling market, they cut trades again and again = flash crash.

Hence CB's now throwing everything at the stock market to keep it bid.

"We propose a novel index of short-term endogeneity (or reflexivity) derived by calibrating the Hawkes self-excited conditional Poisson model on empir- ical time series of trades. The Hawkes model accounts simultaneously for the co-existence and interplay between the exogenous impact of news and the endogenous mechanism by which past trading activity may influence fu- ture trading activity. Technically known in the mathematical literature on branching processes as the branching ratio, the reflexivity index is quanti- fied for several commodity futures markets (corn, oil, soybean, sugar, and wheat) and also for a benchmark equity futures market (E-mini S&P 500). Specifically, the reflexivity index is the average ratio of the number of price moves that are due to endogenous interactions to the total number of all price changes, which also include exogenous events. We find an overall increase of the level of short-term endogeneity since the mid-2000s to October 2012, with a typical value nowadays around 0.6–0.7, implying that at least 60–70 per cent of commodity price changes are now due to self-generated activities rather than novel information. Our robustness tests show that the branching ratio provides a ‘pure’ measure of endogeneity that is independent of the rate of activity, order size, volume or volatility."

While it will be no surprise to any ZeroHedge reader, academic research from ETH Zurich shows that not only are "commodity markets becoming very financialized and computerized... and more susceptible to minor shocks," but "at least 60-70% of price changes are now due to self-generated activities rather than novel information." In other words, only about a third of commodity price moves are caused by real fundamental news now (as opposed to 75% pre-HFT).

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I would guess all the crashing dollar/causing price inflation guys will show up and shoot this down in flames?

With all that algo action. Makes one wonder who's feeding them. It all has to be imaginary. You got a bid and an ask and them in the middle so the bid = ask and market maker gone. Market maker's not paying them. They must be taking a chunk out of the sell and the buy. But then there are only a few live ones of those (pension funds). So the little suckers are cannibalistic chawing on each other. Like some kinda pollution in the market that drowned out everything except Bernanke and friends. As the real volume declines and the algo volume increases there'll come a time, in a flash, when they all drive themselves into oblivion. Should happen more often as their volume increases.

You are dealing with a market of people with time horizons of between 12 milliseconds, and thirty years. They are all emotional. They get greedy. They get scared. They have learned to disconnect from the news because the news lies to them. The market is never how you want it to be, and it is never wrong. Only you are wrong for trying to convince yourself that you have a fucking clue about why every dipshit with a 401k, or some alcoholic billionaire with a taste for opportunity puts on a trade. Most of the "news" that affects the markets are the movements of other markets. A lot of fucktards who cant keep up with a mortgage manage other people's money in these markets.

Did your analysis take into account any of this? Or just that the media doesn't mean shit anymore and traders all know it.

Manipulation of the stock market is an age old phenomen. New is only, that its electronically, computerized, effetive, cheap and systematiclly on a world wide scale. Just install some more computers whenever needed to control the mayor markets and companies.

All stock quotes of mayor companies are political nowadays. Politics drives up the prices or down whatever fits to the actual political strategy. A company can be as rotten as hell, as long as it still stands somehow according to the paperwork. This is enough to qualify for sky high stock quotes if desired. On the other side the same is true. Everything in a company might be excellent but the stock price is clubbed down and stays there for years if necessary.

Its all the work of the "Masters of the Markets" hiding behind mystical HFT. HFT is not a power its a tool of the" Masters of the Markets".

Scientific principles, thankfully, also remain steadfast, such as: the higher the frequency (e.g. HFT), the shorter the wavelength (i.e., 'wave length'). This is why the lower-frequency bass sounds from your neighbor's stereo can wrap around the walls and shake you through the long wavelengths, while a Vivaldi piccolo concerto is stopped dead in its tracks. It may also explain why the speaker components responsible for producing the highest (and, some would say, the most annoying) frequency sounds are known as 'tweeters.' Hmmm -- 'tweeters' -- high-pitched and high-frequency -- you can't make this stuff up.